The best option is the third one: , having taken lessons,
Explanation:
A participial phrase consists of a participle together with its modifiers and complements. It modifies a noun by providing information about it. The best option in this case is to place the participial phrase between commas since what we have a non-restrictive participial phrase. That kind of phrase is not essential for the meaning of the sentence to be understood. The sentence "The campers were safer during pool time" already carries the desired message perfectly. When we add "having taken lessons", it should then be set off by commas to modify the noun "campers". A participial phrase should only be introduced into a sentence without the help of commas if it is essential for the meaning.
